Estimating sample paths of Gauss-Markov processes from noisy data
Fuente:
arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866910393314574336 |
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| author | Davies, Benjamin |
| author_facet | Davies, Benjamin |
| contents | I derive the pointwise conditional means and variances of an arbitrary Gauss-Markov process, given noisy observations of points on a sample path. These moments depend on the process's mean and covariance functions, and on the conditional moments of the sampled points. I study the Brownian motion and bridge as special cases. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2404_00784 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Estimating sample paths of Gauss-Markov processes from noisy data Davies, Benjamin Statistics Theory Econometrics Probability I derive the pointwise conditional means and variances of an arbitrary Gauss-Markov process, given noisy observations of points on a sample path. These moments depend on the process's mean and covariance functions, and on the conditional moments of the sampled points. I study the Brownian motion and bridge as special cases. |
| title | Estimating sample paths of Gauss-Markov processes from noisy data |
| topic | Statistics Theory Econometrics Probability |
| url | https://arxiv.org/abs/2404.00784 |